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2009 Maximum of Dyson Brownian motion and non-colliding systems with a boundary
Alexei Borodin, Patrik Ferrari, Michael Prahofer, Tomohiro Sasamoto, Jon Warren
Author Affiliations +
Electron. Commun. Probab. 14: 486-494 (2009). DOI: 10.1214/ECP.v14-1503

Abstract

We prove an equality-in-law relating the maximum of GUE Dyson's Brownian motion and the non-colliding systems with a wall. This generalizes the well known relation between the maximum of a Brownian motion and a reflected Brownian motion

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Alexei Borodin. Patrik Ferrari. Michael Prahofer. Tomohiro Sasamoto. Jon Warren. "Maximum of Dyson Brownian motion and non-colliding systems with a boundary." Electron. Commun. Probab. 14 486 - 494, 2009. https://doi.org/10.1214/ECP.v14-1503

Information

Accepted: 1 November 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60169
MathSciNet: MR2559098
Digital Object Identifier: 10.1214/ECP.v14-1503

Subjects:
Primary: 60K35
Secondary: 60J55, 60J65

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